U.S. Stock Options With Biggest Changes in Implied Volatility

The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 11:30 a.m. in New York. This {OSCH <GO>} search was limited to options that are more than 10 days from expiration, have trading volume of at least 200 contracts and have strike prices within 5 percent of the underlying security's price.


Top Volatility Increases

                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RAH    RALCORP HLD  RAH US 10/22/11 C80       54.3  54.2   4.50  -35.7    631
FDO    FAMILY DOLL  FDO US 10/22/11 C49       28.4  42.3   4.00    5.3   1260
TEF    TELEFONICA-  TEF US 03/17/12 C17.5     24.8  55.5   2.25   18.4    224
BBBB   BLACKBOARD   BBBB US 10/22/11 C45      22.2   5.9   0.05  -66.7   1100
BPZ    BPZ RESOURC  BPZ US 03/17/12 C3        20.2  53.7   0.75    0.0   1056
MU     MICRON TECH  MU US 10/22/11 C4         18.9  95.5   3.00    2.7    303
EK     EASTMAN KOD  EK US 10/22/11 C3         17.8 159.9   0.52   18.2    350
MJN    MEAD JOHNSO  MJN US 10/22/11 C75       16.4  36.0   3.25   97.0    479
TAL    TAL INTERNA  TAL US 10/22/11 P20       14.3 101.4   0.70  180.0   5000
RMBS   RAMBUS INC   RMBS US 10/22/11 C13      12.2 143.7   2.10   22.8    457
DRYS   DRYSHIPS IN  DRYS US 10/22/11 C3       11.2  88.7   0.40   25.0   5238
NLY    ANNALY CAPI  NLY US 10/22/11 C17       11.2  30.3   0.99   -1.0    435
MJN    MEAD JOHNSO  MJN US 11/19/11 P70       10.9  37.7   2.67  -12.5    201
STP    SUNTECH POW  STP US 10/22/11 P4        10.9 108.5   0.62   40.9    647
RMBS   RAMBUS INC   RMBS US 10/22/11 P11      10.0 143.4   1.42    9.2    538

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
RAH    RALCORP HLD  RAH US 10/22/11 P65      -35.5  48.5   0.80   45.5   1016
CSR    CHINA SECUR  CSR US 03/17/12 P5       -34.2  32.6   0.10  -66.7    454
CSR    CHINA SECUR  CSR US 12/17/11 P5       -28.4  41.7   0.10  -58.3    347
SOMX   SOMAXON PHA  SOMX US 02/18/12 C1      -24.6  59.8   0.30   50.0    405
CSR    CHINA SECUR  CSR US 12/17/11 C5       -18.6  36.2   1.40    3.7    425
SNCR   SYNCHRONOSS  SNCR US 10/22/11 P25     -16.9  61.0   1.80   -5.8    200
VICL   VICAL INC    VICL US 03/17/12 C2.5    -16.4 102.9   1.25  -26.5   1317
SSO    PROSHARES U  SSO US 01/21/12 C42      -14.4  56.4   5.00   11.4    268
CSR    CHINA SECUR  CSR US 10/22/11 C5       -13.5  65.5   1.40   12.0   1151
HRBN   HARBIN ELEC  HRBN US 12/17/11 C11     -13.1  65.1   8.80    0.0    566
HRBN   HARBIN ELEC  HRBN US 10/22/11 C19     -12.7  66.1   2.00   -7.0    202
SLE    SARA LEE CO  SLE US 10/22/11 C17      -11.7  31.0   0.80    6.7    200
VICL   VICAL INC    VICL US 12/17/11 P2.5    -11.6  94.1   0.25   25.0    211
UUP    POWERSHARES  UUP US 10/22/11 C21      -11.5  13.1   0.92   -3.2    522
SVM    SILVERCORP   SVM US 10/22/11 C5       -11.0 160.3   2.00   -7.0    444
KBE    SPDR KBW BA  KBE US 10/22/11 C17      -10.8  54.9   2.30   15.0  10000
N      NETSUITE IN  N US 10/22/11 C30        -10.4  58.8   3.00  -16.7    200

x - Ex-dividend. * - Ex-earnings.

-- Bloomberg News To contact Bloomberg News for this story: +1-212-318-2000 or newsdev@bloomberg.net

Press spacebar to pause and continue. Press esc to stop.

Bloomberg reserves the right to remove comments but is under no obligation to do so, or to explain individual moderation decisions.

Please enable JavaScript to view the comments powered by Disqus.